Hedging effectiveness of cryptocurrencies in the European stock market

【Author】 Gambarelli, Luca; Marchi, Gianluca; Muzzioli, Silvia

【Source】JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY

【影响因子】4.217

【Abstract】The aim of the paper is twofold: first, to examine the hedging effectiveness of cryptocurrencies and cryptocurrency portfolios for European equities in bearish and bullish market conditions, and second, to contrast cryptocurrencies with gold as a safe haven asset. To this end, daily data from 2018 to 2022 were employed in a linear and nonlinear Autoregressive Distributed Lag (ARDL) framework. The findings have significant implications for investors, financial intermediaries and regulators.

【Keywords】Cryptocurrencies; Hedging; Asymmetric effects; Stock market returns; Covid-19 outbreak

【发表时间】2023 APR

【收录时间】2023-06-17

【文献类型】实证数据

【主题类别】

区块链治理-市场治理-市场分析